public string[] GetKeyTenors()
{
return(MarketInstruments != null
? MarketInstruments.Select(x => x.Instrument.Tenor).Select(x => x.ToString()).ToArray()
: KeyTenors);
//KeyPoints.Select(x => new Term(x.Item1 - ReferenceDate, Period.Day)).Select(x => x.ToString()).ToArray();
}
public IYieldCurve BumpKeyRate(int index, double resetRate)
{
if (index < 0 || index > KeyPoints.Count() - 1)
{
throw new IndexOutOfRangeException("YieldCurve");
}
if (MarketInstruments == null)
{
//var offset = MarketInstruments == null ? 0 : KeyPoints.Length - MarketInstruments.Length;
//var additionalBumpIndex = (index == 0 && offset > 0) ? 0 : Int32.MaxValue;
return(new YieldCurve(
Name,
ReferenceDate,
KeyPoints.Select((x, i) => i == index ? Tuple.Create(x.Item1, resetRate) : x).ToArray(),
Bda,
DayCount,
Calendar,
Currency,
Compound,
Interpolation,
Trait,
BaseMarket,
CalibrateMktUpdateCondition,
Spread
));
}
else
{
return(new YieldCurve(
Name,
ReferenceDate,
MarketInstruments.Select((x, i) => i == index ? new MarketInstrument(x.Instrument.Bump(resetRate), resetRate, x.CalibMethod) : x as MarketInstrument).ToArray(),
Bda,
DayCount,
Calendar,
Currency,
Compound,
Interpolation,
Trait,
BaseMarket,
CalibrateMktUpdateCondition,
null
)
{
Spread = Spread
});
}
}
public IYieldCurve Shift(int bp)
{
if (MarketInstruments == null)
{
return(new YieldCurve(
Name,
ReferenceDate,
KeyPoints.Select(x => Tuple.Create(x.Item1, x.Item2 + bp * 0.0001)).ToArray(),
Bda,
DayCount,
Calendar,
Currency,
Compound,
Interpolation,
Trait,
BaseMarket,
CalibrateMktUpdateCondition,
Spread
));
}
else
{
return(new YieldCurve(
Name,
ReferenceDate,
MarketInstruments.Select(x => new MarketInstrument(x.Instrument.Bump(bp), x.TargetValue + bp * 0.0001, x.CalibMethod)).ToArray(),
Bda,
DayCount,
Calendar,
Currency,
Compound,
Interpolation,
Trait,
BaseMarket,
CalibrateMktUpdateCondition,
null
)
{
Spread = Spread
});
}
}